Verifica empirica ed analisi critica del modello mistura bivariata
Bivariate mixture models, introduced by Tauchen-Pitts, try to esplain the relationship between return volatility and trading volume in financial markets, by stochastic changes in a single latent variable, representing the number of information arrivals. In this article, dynamic bivariate mixture mod...
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| Format: | Article |
| Language: | English |
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University of Bologna
2007-10-01
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| Series: | Statistica |
| Online Access: | http://rivista-statistica.unibo.it/article/view/407 |